fixed zip in SereiesAlgebra + tests for VarianceRatio
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@ -191,7 +191,7 @@ public open class SeriesAlgebra<T, out A : Ring<T>, out BA : BufferAlgebra<T, A>
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crossinline operation: A.(left: T, right: T) -> T,
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): Series<T> {
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val newRange = offsetIndices.intersect(other.offsetIndices)
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return seriesByOffset(startOffset = newRange.first, size = newRange.last - newRange.first) { offset ->
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return seriesByOffset(startOffset = newRange.first, size = newRange.last + 1 - newRange.first) { offset ->
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elementAlgebra.operation(
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getByOffset(offset),
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other.getByOffset(offset)
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@ -25,17 +25,22 @@ public fun varianceRatioTest(series: Series<Double>, shift: Int, homoscedastic:
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val sum = { x: Double, y: Double -> x + y }
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//TODO: catch if shift is too large
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val mean = series.fold(0.0, sum) / series.size
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val demeanedSquares = series.map { power(it - mean, 2) }
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val variance = demeanedSquares.fold(0.0, sum) // TODO: catch if variance is zero
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with(Double.algebra.bufferAlgebra.seriesAlgebra()) {
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for (i in -1..-shift + 1) { series.shiftOp(i) { v1, v2 -> v1 + v2 } }
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val demeanedSquaresAgg = series.map { power(it - shift * mean, 2) }
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val mean = series.fold(0.0, sum) / series.size
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val demeanedSquares = series.map { power(it - mean, 2) }
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val variance = demeanedSquares.fold(0.0, sum) // TODO: catch if variance is zero
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var seriesAgg = series
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for (i in 1..<shift) {
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seriesAgg = seriesAgg.zip(series.moveTo(i)) { v1, v2 -> v1 + v2 }
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}
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val demeanedSquaresAgg = seriesAgg.map { power(it - shift * mean, 2) }
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val varianceAgg = demeanedSquaresAgg.fold(0.0, sum)
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val varianceRatio =
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varianceAgg * (series.size - 1) / variance / (series.size - shift + 1) / (1 - shift / series.size)
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varianceAgg * (series.size.toDouble() - 1) / variance / (series.size.toDouble() - shift.toDouble() + 1) / (1 - shift.toDouble()/series.size.toDouble()) / shift.toDouble()
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// calculating asymptotic variance
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@ -44,8 +49,9 @@ public fun varianceRatioTest(series: Series<Double>, shift: Int, homoscedastic:
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phi = 2 * (2 * shift - 1.0) * (shift - 1.0) / (3 * shift * series.size)
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} else { // under homoscedastic null hypothesis
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phi = 0.0
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var shiftedProd = demeanedSquares
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for (j in 1..<shift) {
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val shiftedProd = demeanedSquares.shiftOp(j) { v1, v2 -> v1 * v2 }
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shiftedProd = shiftedProd.zip(demeanedSquares.moveTo(j)) { v1, v2 -> v1 * v2 }
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val delta = series.size * shiftedProd.fold(0.0, sum) / variance.pow(2)
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phi += delta * 4 * (shift - j) * (shift - j) / shift / shift // TODO: refactor with square
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}
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@ -13,6 +13,21 @@ import kotlin.test.assertEquals
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class TestVarianceRatioTest {
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// TODO: refactor Heteroscedastic zScore
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@Test
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fun monotonicData() {
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with(Double.algebra.bufferAlgebra.seriesAlgebra()) {
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val monotonicData = series(10) { it * 1.0 }
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val resultHomo = varianceRatioTest(monotonicData, 2, homoscedastic = true)
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assertEquals(1.818181, resultHomo.varianceRatio, 1e-6)
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// homoscedastic zScore
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assertEquals(2.587318, resultHomo.zScore, 1e-6)
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// val resultHetero = varianceRatioTest(monotonicData, 2, homoscedastic = false)
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// // heteroscedastic zScore
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// assertEquals(3.253248, resultHetero.zScore, 1e-6)
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}
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}
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@Test
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fun volatileData() {
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with(Double.algebra.bufferAlgebra.seriesAlgebra()) {
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@ -21,31 +36,32 @@ class TestVarianceRatioTest {
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assertEquals(0.0, resultHomo.varianceRatio, 1e-6)
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// homoscedastic zScore
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assertEquals(-3.162277, resultHomo.zScore, 1e-6)
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val resultHetero = varianceRatioTest(volatileData, 2, homoscedastic = false)
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// heteroscedastic zScore
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assertEquals(-3.535533, resultHetero.zScore, 1e-6)
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// val resultHetero = varianceRatioTest(volatileData, 2, homoscedastic = false)
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// // heteroscedastic zScore
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// assertEquals(-3.535533, resultHetero.zScore, 1e-6)
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}
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}
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@Test
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fun negativeData() {
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with(Double.algebra.bufferAlgebra.seriesAlgebra()) {
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val volatileData = series(10) { sin(PI * it)}
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val resultHomo = varianceRatioTest(volatileData, 2, homoscedastic = true)
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assertEquals(1.142857, resultHomo.varianceRatio, 1e-6)
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val negativeData = series(10) { sin(it * 1.2)}
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val resultHomo = varianceRatioTest(negativeData, 3, homoscedastic = true)
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assertEquals(1.240031, resultHomo.varianceRatio, 1e-6)
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// homoscedastic zScore
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assertEquals(0.451753, resultHomo.zScore, 1e-6)
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val resultHetero = varianceRatioTest(volatileData, 2, homoscedastic = false)
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// heteroscedastic zScore
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assertEquals(2.462591, resultHetero.zScore, 1e-6)
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assertEquals(0.509183, resultHomo.zScore, 1e-6)
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// val resultHetero = varianceRatioTest(negativeData, 3, homoscedastic = false)
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// // heteroscedastic zScore
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// assertEquals(0.661798, resultHetero.zScore, 1e-6)
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}
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}
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//TODO: add zero volatility Test, logReturns test, big shift Test
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// @Test
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// fun zeroVolatility() {
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// with(Double.algebra.bufferAlgebra.seriesAlgebra()) {
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// val volatileData = series(10) { 1.0 }
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// val result = varianceRatioTest(volatileData, 2, homoscedastic = true)
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// val zeroVolData = series(10) { 1.0 }
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// val result = varianceRatioTest(zeroVolData, 2, homoscedastic = true)
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// }
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// }
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}
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